Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Nov 17 (3D) | Nov 18 (4D) | Nov 19 (5D) | Nov 20 (6D) | Nov 21 (7D) | Nov 24 (10D) | Nov 25 (11D) | Nov 26 (12D) | Nov 27 (13D) | Nov 28 (14D) | Dec 05 (21D) | Dec 12 (28D) | Dec 19 (35D) | Dec 26 (42D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 659.85 | 657.981 | 656.335 | 654.847 | 653.478 | 649.875 | 648.799 | 647.77 | 646.784 | 645.835 | 639.97 | 635.025 | 630.67 | 626.731 |
| upper | 684.01 | 685.879 | 687.525 | 689.013 | 690.382 | 693.985 | 695.061 | 696.09 | 697.076 | 698.025 | 703.89 | 708.835 | 713.19 | 717.129 |
| expected move | 12.08 | 13.949 | 15.595 | 17.083 | 18.452 | 22.055 | 23.131 | 24.16 | 25.146 | 26.095 | 31.96 | 36.905 | 41.26 | 45.199 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
